Massimiliano Marcellino : Citation Profile


Are you Massimiliano Marcellino?

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

39

H index

98

i10 index

5229

Citations

RESEARCH PRODUCTION:

106

Articles

258

Papers

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 209
   Journals where Massimiliano Marcellino has often published
   Relations with other researchers
   Recent citing documents: 369.    Total self citations: 196 (3.61 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma114
   Updated: 2022-05-21    RAS profile: 2022-03-18    
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Relations with other researchers


Works with:

Clark, Todd (23)

Carriero, Andrea (14)

Foroni, Claudia (12)

Stevanovic, Dalibor (9)

Kapetanios, George (8)

Guérin, Pierre (6)

Huber, Florian (5)

Mertens, Elmar (5)

Koop, Gary (4)

Corsello, Francesco (3)

Leiva-Leon, Danilo (3)

Venditti, Fabrizio (3)

Pfarrhofer, Michael (2)

Dendramis, Yiannis (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Marcellino.

Is cited by:

Koop, Gary (101)

Korobilis, Dimitris (69)

Eickmeier, Sandra (60)

Huber, Florian (56)

Giannone, Domenico (48)

Ravazzolo, Francesco (46)

Ferrara, Laurent (45)

Kapetanios, George (44)

Dreger, Christian (44)

GUPTA, RANGAN (44)

Hecq, Alain (42)

Cites to:

Reichlin, Lucrezia (209)

Giannone, Domenico (174)

Watson, Mark (165)

Stock, James (120)

Forni, Mario (113)

Lippi, Marco (102)

Ng, Serena (92)

Hendry, David (83)

Hallin, Marc (75)

Clark, Todd (74)

Schumacher, Christian (64)

Main data


Where Massimiliano Marcellino has published?


Journals with more than one article published# docs
International Journal of Forecasting15
Journal of Applied Econometrics14
Oxford Bulletin of Economics and Statistics10
Journal of the Royal Statistical Society Series A8
Journal of Econometrics6
Journal of Forecasting4
Journal of Business & Economic Statistics4
Economic Modelling4
Journal of Applied Econometrics4
Journal of Time Series Analysis3
Empirical Economics3
Econometrics Journal3
National Institute Economic Review2
Journal of Banking & Finance2
Economics Letters2
Macroeconomic Dynamics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Economics Working Papers / European University Institute26
Working Papers / Federal Reserve Bank of Cleveland10
Working Paper Series / European Central Bank10
Working Papers (Old Series) / Federal Reserve Bank of Cleveland8
Discussion Paper Series 1: Economic Studies / Deutsche Bundesbank7
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area6
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy4
Papers / arXiv.org4
RSCAS Working Papers / European University Institute3
Discussion Papers / Deutsche Bundesbank3
Working Papers / University of California, Davis, Department of Economics3
Discussion Papers / Department of Economics, University of Birmingham3
Staff Working Papers / Bank of Canada2
Post-Print / HAL2
CFS Working Paper Series / Center for Financial Studies (CFS)2

Recent works citing Massimiliano Marcellino (2022 and 2021)


YearTitle of citing document
2021Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Boachie, Micheal Kofi. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:1:p:188-215.

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2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2021Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory. (2021). Tiwari, Aviral ; GUPTA, RANGAN ; Boachie, Micheal Kofi. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:25:y:2021:i:1:p:188-215.

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2021“Employment uncertainty a year after the irruption of the covid-19 pandemic”. (2021). Sorić, Petar ; Claveria, Oscar ; Soric, Petar. In: AQR Working Papers. RePEc:aqr:wpaper:202104.

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2021Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2021Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Slow-Growing Trees. (2021). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01926.

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2021COVID-19 and Estimation of Macroeconomic Factors. (2021). Ng, Serena. In: Papers. RePEc:arx:papers:2103.02732.

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2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. (2021). Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:2105.10430.

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2021Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM). (2021). Hopp, Daniel. In: Papers. RePEc:arx:papers:2106.08901.

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2021Decoupling Shrinkage and Selection for the Bayesian Quantile Regression. (2021). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2107.08498.

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2021Sparse Temporal Disaggregation. (2021). Gibberd, Alex ; Eckley, Idris ; Mosley, Luke . In: Papers. RePEc:arx:papers:2108.05783.

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2021Macroeconomic forecasting with LSTM and mixed frequency time series data. (2021). Kamolthip, Sarun. In: Papers. RePEc:arx:papers:2109.13777.

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2022Factor-augmented tree ensembles. (2021). Pellegrino, Filippo. In: Papers. RePEc:arx:papers:2111.14000.

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2021Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2021Bayesian Approaches to Shrinkage and Sparse Estimation. (2021). Korobilis, Dimitris ; Shimizu, Kenichi. In: Papers. RePEc:arx:papers:2112.11751.

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2022Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach. (2022). Palmén, Olli. In: Papers. RePEc:arx:papers:2202.10834.

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2022Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540.

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2022Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisis. (2022). Hopp, Daniel. In: Papers. RePEc:arx:papers:2203.11872.

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2021.

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2022Macroeconomic Predictions Using Payments Data and Machine Learning. (2022). Desai, Ajit ; Chapman, James. In: Staff Working Papers. RePEc:bca:bocawp:22-10.

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2021Machine Learning and Oil Price Point and Density Forecasting. (2021). Gaglianone, Wagner ; Lin, Yihao ; Issler, Joo Victor ; Teixeira, Osmani ; Cavalcanti, Pedro ; Bonnet, Alexandre. In: Working Papers Series. RePEc:bcb:wpaper:544.

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2021Nowcast of Macroeconomic Aggregates in Argentina: Comparing the Predictive Capacity of Different Models. (2021). Garegnani, Lorena ; Dogliolo, Fiorella ; Damato, Laura ; Blanco, Emilio. In: BCRA Working Paper Series. RePEc:bcr:wpaper:202190.

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2021Do inflation expectations improve model-based inflation Forecasts?. (2021). Menz, Jan-Oliver ; Leiva-Leon, Danilo ; Babura, Marta. In: Working Papers. RePEc:bde:wpaper:2138.

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2021Measuring the impact of a bank failure on the real economy. An EU-wide analytical framework. (2021). Vacca, Valerio ; Ricci, Giacomo ; Miani, Claudia ; Ballesteros, Elisa Llorente ; Hoeretzeder, Silvia ; Ebner, Andr ; di Primio, Luciano ; Bravo, Antonio J ; Boschi, Natalie ; Westman, Hanna ; Biraschi, Paolo ; Schellerer, Stefan ; Bichlmeier, Fabian ; Santioni, Raffaele. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_626_21.

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2021Forecasting Italian GDP growth with epidemiological data. (2021). Villa, Stefania ; Flaccadoro, Marco ; Conteduca, Francesco ; Emiliozzi, Simone ; Borin, Alessandro ; Aprigliano, Valentina ; Marchetti, Sabina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_664_21.

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2021The power of text-based indicators in forecasting the Italian economic activity. (2021). Monteforte, Libero ; Marcucci, Juri ; aprigliano, valentina ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1321_21.

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2021The Nonlinear Effect of Uncertainty in Portfolio Flows to Mexico. (2021). Hernandez, Marco A. In: Working Papers. RePEc:bdm:wpaper:2021-11.

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2021The COVID-19 Economic Crisis in Mexico through the Lens of a Financial Conditions Index. (2021). Carrillo, Julio ; Garca, Ana Laura. In: Working Papers. RePEc:bdm:wpaper:2021-23.

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2021Nowcasting Colombian Economic Activity: DFM and Factor-MIDAS approaches. (2021). Rojas-Martinez, Carlos D ; Martinez-Cortes, Nicolas ; Galeano-Ramirez, Franky Juliano. In: Borradores de Economia. RePEc:bdr:borrec:1168.

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2021Big data and machine learning in central banking. (2021). Gambacorta, Leonardo ; Doerr, Sebastian ; Serena, Jose Maria. In: BIS Working Papers. RePEc:bis:biswps:930.

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2021Time?varying impact of global, region?, and country?specific uncertainties on the volatility of international trade. (2021). GUPTA, RANGAN ; Gul, Selcuk. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:39:y:2021:i:4:p:691-700.

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2021EURQ: A New Web Search?based Uncertainty Index. (2021). Golinelli, Roberto ; Bontempi, Maria ; Frigeri, Michele ; Squadrani, Matteo. In: Economica. RePEc:bla:econom:v:88:y:2021:i:352:p:969-1015.

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2021On the International Spillover Effects of Country?Specific Financial Sector Bailouts and Sovereign Risk Shocks*. (2021). Wu, Eliza ; Nguyen, Viet Hoang ; GREENWOODNIMMO, MATTHEW . In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:317:p:285-309.

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2021The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2021Mixed?frequency Bayesian predictive synthesis for economic nowcasting. (2021). McAlinn, Kenichiro. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1143-1163.

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2022Financial stress and economic growth: The moderating role of trust. (2022). Tasiou, Menelaos ; Pasiouras, Fotios ; Makrychoriti, Panagiota. In: Kyklos. RePEc:bla:kyklos:v:75:y:2022:i:1:p:48-74.

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2021The Impact of Pessimistic Expectations on the Effects of COVID?19?Induced Uncertainty in the Euro Area. (2021). Zullig, Gabriel ; Ravenna, Federico ; Pellegrino, Giovanni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:841-869.

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2021Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*. (2021). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:982-1001.

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2021Empirical Evidence on the Dynamics of Investment Under Uncertainty in the U.S.. (2021). Magnusson, Leandro ; Haque, Qazi ; Tomioka, Kazuki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1193-1217.

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2021Accurate Confidence Regions for Principal Components Factors. (2021). Ruiz, Esther ; Maldonado, Javier. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1432-1453.

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2021Euro Area Income and Wealth Effects: Aggregation Issues. (2021). Zekaite, Zivile ; de Bondt, Gabe ; Herrero, Pablo ; Gieseck, Arne. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:6:p:1454-1474.

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2021Structural Budget Balance as a Fiscal Rule in the European Union—Good, Bad, or Ugly?. (2021). Douglas, James W ; Raudla, Ringa. In: Public Budgeting & Finance. RePEc:bla:pbudge:v:41:y:2021:i:1:p:121-141.

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2021Fear thy neighbor: Spillovers from economic policy uncertainty. (2021). Grigoli, Francesco ; Hengge, Martina ; Biljanovska, Nina. In: Review of International Economics. RePEc:bla:reviec:v:29:y:2021:i:2:p:409-438.

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2021Nowcasting South African gross domestic product using a suite of statistical models. (2021). Steenkamp, Daan ; Botha, Byron ; van Jaarsveld, Rossouw ; Reid, Geordie ; Olds, Tim. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:526-554.

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2021Measuring the effectiveness of US monetary policy during the COVID?19 recession. (2021). Pfarrhofer, Michael ; Huber, Florian ; Feldkircher, Martin. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:68:y:2021:i:3:p:287-297.

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2022Public Investment and Regional Resilience: Empirical Evidence from the Greek Regions. (2022). Athanasopoulos, Dimitrios ; Panori, Anastasia ; Psycharis, Yannis. In: Tijdschrift voor Economische en Sociale Geografie. RePEc:bla:tvecsg:v:113:y:2022:i:1:p:57-79.

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2022Intra?regional spillovers from Nigeria and South Africa to the rest of Africa: New evidence from a FAVAR model. (2022). Omoshoro-Jones, Oyeyinka ; Bonga-Bonga, Lumengo ; Bongabonga, Lumengo ; Omoshorojones, Oyenyinka Sunday. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:251-275.

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2021Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs. (2021). Koop, Gary ; Hou, Chenghan ; Cross, Jamie L. In: Working Papers. RePEc:bny:wpaper:0100.

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2021Forecasting UK inflation bottom up. (2021). Potjagailo, Galina ; Kapetanios, George ; Kalamara, Eleni ; Joseph, Andreas. In: Bank of England working papers. RePEc:boe:boeewp:0915.

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2021Forecasting UK GDP growth with large survey panels. (2021). Kapetanios, George ; Kalamara, Eleni ; Anesti, Nikoleta. In: Bank of England working papers. RePEc:boe:boeewp:0923.

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2021Global Uncertainty. (2021). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_001.

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2022Inflationary household uncertainty shocks. (2022). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2022_005.

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2021Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks. (2021). Marsi, Antonio ; Fanelli, Luca. In: Working Papers. RePEc:bol:bodewp:wp1164.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2021Macroeconomic uncertainty and forecasting macroeconomic aggregates. (2021). Magnus, Reif. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:5.

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2021The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models. (2021). Tsasa, Jean-Paul K ; Diwambuena, Josue. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps87.

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2021Forecasting Canadian GDP Growth with Machine Learning. (2021). Demers, Fanny S ; Chu, BA ; Qureshi, Shafiullah. In: Carleton Economic Papers. RePEc:car:carecp:21-05.

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2021Sorry, Youre Blocked. Economic Effects of Financial Sanctions on the Russian Economy. (2021). Pestova, Anna ; Mamonov, Mikhail. In: CERGE-EI Working Papers. RePEc:cer:papers:wp704.

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2021Survey-Based Structural Budget Balances. (2021). Wollmershauser, Timo ; Gottert, Marcell. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8911.

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2021Boosting Tax Revenues with Mixed-Frequency Data in the Aftermath of Covid-19: The Case of New York. (2021). Lahiri, Kajal ; Yang, Cheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9365.

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2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

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2021Capital Flows and Emerging Markets Fluctuations. (2021). Lorca, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:898.

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2021COVID19 and Seasonal Adjustment. (2021). Jacobs, Jan ; Abeln, Barend. In: CIRANO Working Papers. RePEc:cir:cirwor:2021s-05.

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2022Addressing Unemployment Rate Forecast Errors in Relation to the Business Cycle. (2022). Scheer, Bas. In: CPB Discussion Paper. RePEc:cpb:discus:434.

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2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

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2021Monetary Policy and Business Cycle Synchronization in Europe. (2021). MESTRE, Roman ; Odry, Remi. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-19.

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2021Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models. (2021). Vogler, Arne ; Beran, Philip. In: EWL Working Papers. RePEc:dui:wpaper:2102.

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2021The implications of globalisation for the ECB monetary policy strategy. (2021). Schmitz, Martin ; Lastauskas, Povilas ; Kataryniuk, Iván ; JOCHEM, Axel ; Gunnella, Vanessa ; Georgiadis, Georgios ; Fontagné, Lionel ; Feldkircher, Martin ; Everett, Mary ; Carvalho, Daniel ; Labhard, Vincent ; Bricongne, Jean-Charles ; Felettigh, Alberto ; Cova, Pietro ; Dimitropoulou, Dimitra ; Hemmerle, Yannick ; Siena, Daniele ; Osbat, Chiara ; Venditti, Fabrizio ; Kuhnlenz, Markus ; Baumann, Ursel ; Zumer, Tina ; Parraga, Susana ; de Luigi, Clara ; Serafini, Roberta ; Mattias, Nilsson ; Carluccio, Juan ; Korhonen, Iikka ; Wacket, Helmut ; Banerjee, Biswajit ; Eichler, Eric ; Giron, Celestino ; Meinen, Philipp ; de Bandt, Olivier ; del Giudice, Davide ; van Schaik, Ilona ; Mozzanica, Mirco Balatti ; Dorrucci, Ettore ; Coim
2021Tracking global economic uncertainty: implications for the euro area. (2021). Quaglietti, Lucia ; Geis, Andre ; Ricci, Martino ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20212541.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2021The time-varying evolution of inflation risks. (2021). Korobilis, Dimitris ; Phella, Anthoulla ; Musso, Alberto ; Landau, Bettina. In: Working Paper Series. RePEc:ecb:ecbwps:20212600.

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2021A mixed frequency BVAR for the euro area labour market. (2021). Foroni, Claudia ; Hernandez, Catalina Martinez ; Consolo, Agostino. In: Working Paper Series. RePEc:ecb:ecbwps:20212601.

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2021The ECBs tracker: nowcasting the press conferences of the ECB. (2021). Marozzi, Armando. In: Working Paper Series. RePEc:ecb:ecbwps:20212609.

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2021Nowcasting euro area GDP with news sentiment: a tale of two crises. (2021). Kalamara, Eleni ; Ashwin, Julian ; Saiz, Lorena. In: Working Paper Series. RePEc:ecb:ecbwps:20212616.

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2021Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej. In: Working Paper Series. RePEc:ecb:ecbwps:20212624.

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2022Solar and wind power generation forecasts using elastic net in time-varying forecast combinations. (2022). Musgens, Felix ; Kaso, Mathias ; Nikodinoska, Dragana . In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s0306261921012861.

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2022Role of banking sector performance in renewable energy consumption. (2022). Amuakwa-Mensah, Franklin ; Nasstrom, Elin. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pb:s0306261921013222.

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2022Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach. (2022). Wichitaksorn, Nuttanan. In: Journal of Asian Economics. RePEc:eee:asieco:v:78:y:2022:i:c:s1049007821001494.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2021The horseshoe prior for time-varying parameter VARs and Monetary Policy. (2021). Pruser, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001238.

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2021Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle. (2021). Valcarcel, Victor (Vic) ; chen, zhengyang. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001494.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2021The impact of mixed-frequency geopolitical risk on stock market returns. (2021). Yang, Chunpeng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:226-240.

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2021Forecasting natural gas prices using highly flexible time-varying parameter models. (2021). Nguyen, Bao H ; Hou, Chenghan ; Gao, Shen. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002418.

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2021Financial and nonfinancial global stock market volatility shocks. (2021). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:128-134.

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More than 100 citations found, this list is not complete...

Massimiliano Marcellino has edited the books:


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YearTitleTypeCited
2021Can Machine Learning Catch the COVID-19 Recession? In: Papers.
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2021Can Machine Learning Catch the COVID-19 Recession?.(2021) In: CIRANO Working Papers.
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2021Can Machine Learning Catch the COVID-19 Recession?.(2021) In: CEPR Discussion Papers.
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2021Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model In: Papers.
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2022Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty In: Papers.
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2022Forecasting US Inflation Using Bayesian Nonparametric Models In: Papers.
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2022Forecasting US Inflation Using Bayesian Nonparametric Models.(2022) In: Working Papers.
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2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
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paper76
2016Measuring Uncertainty and Its Impact on the Economy.(2016) In: Working Papers (Old Series).
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2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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2017Macroeconomic activity and risk indicators: an unstable relationship In: BAFFI CAREFIN Working Papers.
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2018Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers.
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paper2
2021Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks In: BAFFI CAREFIN Working Papers.
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paper0
2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
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paper29
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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paper
2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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article
2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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paper1
2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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paper
2020Markov-Switching Three-Pass Regression Filter.(2020) In: Journal of Business & Economic Statistics.
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2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
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paper15
2016Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers.
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2019Large time?varying parameter VARs: A nonparametric approach.(2019) In: Journal of Applied Econometrics.
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article
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
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paper13
2019The Global Component of Inflation Volatility.(2019) In: CEPR Discussion Papers.
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paper
2020The economic drivers of volatility and uncertainty In: Temi di discussione (Economic working papers).
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paper1
2012Forecasting economic activity with higher frequency targeted predictors In: Temi di discussione (Economic working papers).
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paper17
2012Selecting predictors by using Bayesian model averaging in bridge models In: Temi di discussione (Economic working papers).
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paper9
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility In: Temi di discussione (Economic working papers).
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paper40
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility.(2013) In: CEPR Discussion Papers.
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paper
2016Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility.(2016) In: Journal of Business & Economic Statistics.
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1999Some Consequences of Temporal Aggregation in Empirical Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article138
2012Macroeconomic forecasting during the Great Recession: The return of non-linearity? In: Working papers.
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paper34
2013Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2013) In: CEPR Discussion Papers.
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paper
2015Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2015) In: International Journal of Forecasting.
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2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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2009Forecasting with Factor-Augmented Error Correction Models In: Discussion Papers.
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paper63
2010Forecasting with Factor-augmented Error Correction.(2010) In: Discussion Papers.
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paper
2008Factor-augmented Error Correction Models.(2008) In: CEPR Discussion Papers.
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paper
2010Forecasting with Factor-augmented Error Correction Models.(2010) In: CEPR Discussion Papers.
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paper
2014Forecasting with factor-augmented error correction models.(2014) In: International Journal of Forecasting.
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article
2008Factor-augmented Error Correction Models.(2008) In: Economics Working Papers.
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paper
2008Factor-augmented Error Correction Models.(2008) In: Working Papers.
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paper
2009Forecasting with Factor-augmented Error Correction Models.(2009) In: RSCAS Working Papers.
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paper
2015An Overview of the Factor-augmented Error-Correction Model In: Discussion Papers.
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paper4
2016An Overview of the Factor-augmented Error-Correction Model.(2016) In: Advances in Econometrics.
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chapter
2011EUROMIND: a monthly indicator of the euro area economic conditions In: Journal of the Royal Statistical Society Series A.
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article32
2015Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials In: Journal of the Royal Statistical Society Series A.
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2015Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis In: Journal of the Royal Statistical Society Series A.
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article18
2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
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2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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paper
2016Mixed frequency structural vector auto-regressive models In: Journal of the Royal Statistical Society Series A.
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article6
2018Point, interval and density forecasts of exchange rates with time varying parameter models In: Journal of the Royal Statistical Society Series A.
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article12
2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: CEPR Discussion Papers.
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2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: Discussion Papers.
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paper
2019Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three?pass regression filter In: Journal of the Royal Statistical Society Series A.
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article1
2020A similarity?based approach for macroeconomic forecasting In: Journal of the Royal Statistical Society Series A.
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article4
2020A Similarity-based Approach for Macroeconomic Forecasting.(2020) In: CEPR Discussion Papers.
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2004Time?scale transformations of discrete time processes In: Journal of Time Series Analysis.
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article7
2003Time-Scale Transformations of Discrete-Time Processes.(2003) In: Working Papers.
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2007Pooling?Based Data Interpolation and Backdating In: Journal of Time Series Analysis.
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2005Pooling-based data interpolation and backdating.(2005) In: CEPR Discussion Papers.
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2005Pooling-based Data Interpolation and Backdating.(2005) In: Working Papers.
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2009A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis.
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article54
2006A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers.
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paper
2000Forecast Bias and MSFE Encompassing In: Oxford Bulletin of Economics and Statistics.
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2004Forecast Pooling for European Macroeconomic Variables In: Oxford Bulletin of Economics and Statistics.
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article12
2004Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area In: Oxford Bulletin of Economics and Statistics.
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article73
2005Modelling and Forecasting Fiscal Variables for the Euro Area* In: Oxford Bulletin of Economics and Statistics.
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article32
2005Modelling and Forecasting Fiscal Variables for the euro Area.(2005) In: CEPR Discussion Papers.
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2005Modelling and Forecasting Fiscal Variables for the Euro Area.(2005) In: Working Papers.
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2005Leading Indicators for Euro?area Inflation and GDP Growth* In: Oxford Bulletin of Economics and Statistics.
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article92
2003Leading Indicators for Euro Area Inflation and GDP Growth.(2003) In: CEPR Discussion Papers.
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2003Leading Indicators for Euro-area Inflation and GDP Growth.(2003) In: Working Papers.
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2008Foreword In: Oxford Bulletin of Economics and Statistics.
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2008Guest Editors’ Introduction to Special Issue on Encompassing In: Oxford Bulletin of Economics and Statistics.
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article3
2008Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis?specified Models* In: Oxford Bulletin of Economics and Statistics.
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article5
2010Factor MIDAS for Nowcasting and Forecasting with Ragged?Edge Data: A Model Comparison for German GDP In: Oxford Bulletin of Economics and Statistics.
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article121
2011Sectoral Survey?based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics.
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article8
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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paper
2013A survey of econometric methods for mixed-frequency data In: Working Paper.
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paper77
2013A survey of econometric methods for mixed-frequency data.(2013) In: Economics Working Papers.
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paper
2013Mixed frequency structural models: estimation, and policy analysis In: Working Paper.
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2014Mixed frequency structural VARs In: Working Paper.
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2014Have standard VARs remained stable since the crisis? In: Working Paper.
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2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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paper
2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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article
2015Using low frequency information for predicting high frequency variables In: Working Paper.
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2018Using low frequency information for predicting high frequency variables.(2018) In: International Journal of Forecasting.
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article
2012A Credibility Proxy: Tracking US Monetary Developments In: The B.E. Journal of Macroeconomics.
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article23
2014The effects of the monetary policy stance on the transmission mechanism In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2008Path Forecast Evaluation In: Working Papers.
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paper43
2008Path Forecast Evaluation.(2008) In: CEPR Discussion Papers.
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paper
2008Path Forecast Evaluation.(2008) In: Economics Working Papers.
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paper
2010Path forecast evaluation.(2010) In: Journal of Applied Econometrics.
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2003STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA. In: Working Papers.
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2000STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA..(2000) In: Department of Economics.
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Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data.() In: Working Papers.
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2020Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis In: CIRANO Working Papers.
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2020Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis.(2020) In: CEPR Discussion Papers.
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2020Forecasting the Covid-19 recession and recovery: lessons from the financial crisis.(2020) In: Working Paper Series.
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2015Factor based identification-robust inference in IV regressions In: CEPR Discussion Papers.
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2015Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs In: CEPR Discussion Papers.
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2016Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs.(2016) In: Journal of Econometrics.
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2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
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2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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2017Tax shocks with high and low uncertainty In: CEPR Discussion Papers.
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2019Tax shocks with high and low uncertainty.(2019) In: Journal of Applied Econometrics.
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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects In: CEPR Discussion Papers.
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2018Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2018) In: Working Papers (Old Series).
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2019Assessing International Commonality in Macroeconomic Uncertainty and Its Effects.(2019) In: Working Papers.
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2020Assessing international commonality in macroeconomic uncertainty and its effects.(2020) In: Journal of Applied Econometrics.
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2020Time-Varying Instrumental Variable Estimation In: CEPR Discussion Papers.
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2021Time-varying instrumental variable estimation.(2021) In: Journal of Econometrics.
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2020Time-Varying Instrumental Variable Estimation.(2020) In: Working Papers.
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2021Addressing COVID-19 Outliers in BVARs with Stochastic Volatility In: CEPR Discussion Papers.
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paper7
2021Addressing COVID-19 Outliers in BVARs with Stochastic Volatility.(2021) In: Working Papers.
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2021Measuring Uncertainty and Its Effects in the COVID-19 Era In: CEPR Discussion Papers.
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paper0
2022Measuring Uncertainty and Its Effects in the COVID-19 Era.(2022) In: Working Papers.
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1998Fiscal Solvency and Fiscal Forecasting in Europe In: CEPR Discussion Papers.
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1998Fiscal Solvency and Fiscal Forecasting in Europe..(1998) In: Economics Working Papers.
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paper
Fiscal Solvency and Fiscal Forecasting in Europe.() In: Working Papers.
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1999Fiscal Forecasting: the Track Record of the IMF, OECD, and EC In: CEPR Discussion Papers.
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2001Fiscal forecasting: The track record of the IMF, OECD and EC.(2001) In: Econometrics Journal.
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1999Fiscal Forecasting: the Track Record of the IMF, OECD and EC..(1999) In: Economics Working Papers.
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paper
2001Large Datasets, Small Models and Monetary Policy in Europe In: CEPR Discussion Papers.
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Large Datasets, Small Models and Monetary Policy in Europe.() In: Working Papers.
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2002Factor Forecasts for the UK In: CEPR Discussion Papers.
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2001Factor Forecasts for the UK.(2001) In: Economics Working Papers.
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Factor forecasts for the UK.() In: Working Papers.
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2002Factor Based Index Tracking In: CEPR Discussion Papers.
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2006Factor based index tracking.(2006) In: Journal of Banking & Finance.
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Factor Based Index Trading.() In: Working Papers.
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2002Instability and Non-Linearity in the EMU In: CEPR Discussion Papers.
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2002Forecast Pooling for Short Time Series of Macroeconomic Variables In: CEPR Discussion Papers.
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2002Forecasting EMU Macroeconomic Variables In: CEPR Discussion Papers.
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paper36
2004Forecasting EMU macroeconomic variables.(2004) In: International Journal of Forecasting.
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2002Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area In: CEPR Discussion Papers.
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2006Some stylized facts on non-systematic fiscal policy in the Euro area.(2006) In: Journal of Macroeconomics.
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2003Dating the Euro Area Business Cycle In: CEPR Discussion Papers.
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paper90
2002Dating the Euro Area Business Cycle.(2002) In: Economics Working Papers.
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2003Dating the Euro Area Business Cycle.(2003) In: Working Papers.
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2003The Transmission Mechanism in a Changing World In: CEPR Discussion Papers.
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2003The transmission mechanism in a changing world.(2003) In: Economics Working Papers.
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2007The transmission mechanism in a changing world.(2007) In: Journal of Applied Econometrics.
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2004Characterizing the Business Cycle for Accession Countries In: CEPR Discussion Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Working Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Econometrics.
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2004Interpolation and Backdating with A Large Information Set In: CEPR Discussion Papers.
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2003Interpolation and backdating with a large information set.(2003) In: Working Paper Series.
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2006Interpolation and backdating with a large information set.(2006) In: Journal of Economic Dynamics and Control.
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